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In the experimental scenario several agents repeatedly invest in n (n2) state-specific assets. The evolutionarily stable and equilibrium (Blume and Easley, 1992) portfolio for this situation requires to distribute funds according to the constant probabilities of the various states. The different...
Persistent link: https://www.econbiz.de/10010274010
The maximum diversification portfolio as defined by Choueifaty (2011) depends on the vector of asset volatilities and the inverse of the covariance matrix of the asset return. In practice, these two quantities need to be replaced by their sample statistics. The estimation error associated with...
Persistent link: https://www.econbiz.de/10012431092
This paper addresses the estimation issue that exists when estimating the traditional mean-variance portfolio. More precisely, the efficient mean-variance is estimated by a double regularization. These regularization techniques namely the ridge, the spectral cut-off, and Landweber-Fridman...
Persistent link: https://www.econbiz.de/10012431095
This paper examines the impact of estimation error in a simple single-period portfolio choice problem when the investor has power utility and asset returns are jointly lognormally distributed. These assumptions imply that such an investor selects portfolios using a modified mean-variance...
Persistent link: https://www.econbiz.de/10013208446
This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk-free asset existing situations, of the mean-variance-skewness (MVS) optimization model subject to mean-sknewness-normalization constraints for portfolio selection. The efficient frontier...
Persistent link: https://www.econbiz.de/10012662764
This paper investigates the impact of multiplicative background risk on an investor's portfolio choice in a mean-variance framework. We also study the efficient boundary frontiers with and without risk-free security.
Persistent link: https://www.econbiz.de/10011111181
This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient frontier in the presence of background risk. We also consider...
Persistent link: https://www.econbiz.de/10011258298
This paper constructs an alternative investment strategy to portfolio optimization model in the framework of the Mean–Variance portfolio selection model. To differentiate it from the ubiquitously applied Mean–Variance model, which is constructed on an assumption that returns are normally...
Persistent link: https://www.econbiz.de/10011259339
We develop in this paper a novel portfolio selection framework with a feature of double robustness in both return distribution modeling and portfolio optimization. While predicting the future return distributions always represents the most compelling challenge in investment, any underlying...
Persistent link: https://www.econbiz.de/10011077505
This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can...
Persistent link: https://www.econbiz.de/10011077507